中国股票市场对利率与存款准备金调整的短期反应  

The Short Period Reaction of Stock Market to Interest Rate and Deposit-reserve Ratio Adjustments in China

作　　者：陈建宝[1,2,3] 徐磊[1] 

机构地区：[1]厦门大学经济学院统计系,福建厦门361005 [2]厦门大学宏观经济研究中心,福建厦门361005 [3]福建省统计科学重点实验室(厦门大学),福建厦门361005

出　　处：《数理统计与管理》2014年第2期355-362,共8页Journal of Applied Statistics and Management

基　　金：国家社科重大基金研究项目(08&ZD034);国家社科重点基金研究项目(09AZD045);教育部人文社科研究项目(13YJA9100002);福建省社会科学规划研究项目(2009b051)的部分研究成果

摘　　要：本文以上证综指为例,用ARMA(1,1)-GARCH(1,1)模型就我国央行利率与存款准备金率的调整是否对我国股市产生短期显著影响进行研究。研究结果发现:综合考虑调息以及调整存款准备金率时,其对股票市场的短期影响并不显著;而细化研究上调、下调利率以及存款准备金率对股票市场的短期影响时,发现只有降息会对股票市场产生短期的显著负效应,其他调整对股票市场均不产生短期显著影响.在研究中国股市的降息效应与其他日历效应(主要是周四效应)的关系后,发现在考虑了日历因素后,降息效应依然显著,这说明中国股市的降息效应并非由这些日历因素所引起.This paper takes Shanghai Composite Index as an example to study whether the adjust- ments of interest rate and deposit-reserve ratio make a significantly short-term impact on the Chinese stock market by using ARMA（1,1）-GARCH（1,1） model. The research results are summarized as follows： there is not a significantly short-term impact on Chinese stock market considering both interest rate and deposit-reserve ratio; Furthermore, a specific research shows only reduction of interest rate makes a significant short-term negative effect on the stock market while other adjustments don＇t; after analyzing the relations between interest rate cut and other calendar effect （mainly Thursday effect）, we find that interest rate cut effect remains significant taking into account the calendar factors, which indicates that the rate cut effect is not caused by these calendar factors.

关 键 词：ARMA(1 1)-GARCH(1 1)模型 利率调整 存款准备金率调整 降息效应 

分 类 号：O212[理学—概率论与数理统计]